可转债周报20241125：再论“新式双低”，还有哪些因子可以优化？

Market Performance and Strategy - Convertible bonds showed resilience with a slight decline of 0.12% last week, outperforming traditional low-double strategies which fell by 0.40%[2] - The "new low-double" strategy, combining low pure bond premium and low conversion premium, maintained its advantage with a year-to-date performance lead[2] - Medium-parity convertible bonds are preferred due to weaker valuation support for high-parity bonds and nearing completion of valuation repair for low-parity bonds[2] Valuation and Momentum Factors - Valuation repair for low-parity bonds is nearing completion, with a 0.80% compression in the 70-90 parity group's fitting premium rate[17] - Momentum factors, particularly positive stock momentum, contributed significantly to net value gains in 2021, with a 22% incremental return since 2017[21] - Large-cap convertible bonds demonstrated more stable performance, benefiting from the robustness of their underlying stocks[23] Issuance and Redemption - Last week, 2 convertible bonds announced redemptions, and 4 announced downward adjustments[2] - Lingyi Convertible Bond was issued with a scale of 2.137 billion yuan, and Hebang and Hao 24 Convertible Bonds were listed with a combined scale of 5.15 billion yuan[3] - As of November 22, 6 companies obtained approval for convertible bond issuance, with a planned issuance scale of approximately 8.104 billion yuan[3] Risk Factors - Risks include significant stock price fluctuations, compression of convertible bond valuations, underperformance of stock earnings growth, and external market volatility[3]